Python API: How to pick the last created object?
Try this(I am on Blender 2.81a):

(set grease pencil object name to "Stroke")

import bpy

# De-select all
bpy.ops.object.select_all(action='DESELECT')

# Make blender think you are in a 3D drawing area
context = bpy.context.copy()
for area in bpy.context.screen.areas:
    if area.type == 'VIEW_3D':
        for region in area.regions:
            if region.type == 'WINDOW':
                context['area'] = area
                context['region'] = region
                break
        break

# The grease pencil must be active (name = Stroke)
context['active_object'] = bpy.data.objects['Stroke']

# Convert(create a new curve) grease pencil
bpy.ops.gpencil.convert(context, type='CURVE', use_timing_data=True)

# New curve will be the only selected object
obj_curve = bpy.context.selected_objects[0]
obj_curve.data.bevel_depth = 0.04
obj_curve.data.bevel_resolution = 8